Dual Anchors: China-U.S. Factors Jointly Determining Global Gold and Crude Oil Pricing—Systematic Evidence Based on Exhaustive Testing with VIF Constraints

Abstract

Traditional commodity pricing literature has long anchored gold and crude oil pricing to U.S.-centric variables, leaving China-linked factors systematically excluded from quantifiable pricing frameworks. This study employs a rolling regression framework with a 756-trading-day window and variance inflation factor (VIF) constraints, exhaustively testing 462 factor combinations for gold and 141 for crude oil. The optimal gold model (China-U.S. Dual-Anchor Three-Factor Gold Valuation Model) consists of the TIPS real yield, the China-U.S. 10-year sovereign yield spread, and the gold-oil ratio, achieving a rolling full-sample R² of 0.908 and a static full-sample R² of 0.814 (2016–2026), with all VIFs below 5. The optimal crude oil model (China-U.S. Dual-Anchor Four-Factor Crude Oil Valuation Model) consists of Shanghai crude oil futures (SC), the VIX, the synthetic time spread, and the China-U.S. yield spread, achieving a full-sample R² of 0.888 and a fixed-parameter out-of-sample R² of 0.611. Under Newey-West autocorrelation-consistent corrections and LASSO regularization, all China-linked factors retain statistical significance and model survival. The China-U.S. yield spread is the only factor entering both optimal models—its independent explanatory power in gold traces back to at least 2006 (three-factor static R² = 0.836), while in crude oil its pricing function strictly begins with the launch of Shanghai crude oil futures in March 2018, as confirmed by an institutional instrumental variable test identifying the causal activation effect (first-stage F = 2,425.75). The SC factor maintains a 100% positive sign across all six rolling sub-periods with zero sign reversals. This paper further develops the theoretical concept of the "institutional interface"—whether a monetary policy signal can enter the pricing equation of a commodity class depends on whether that class possesses a tradable benchmark contract denominated in the domestic currency—offering a new analytical perspective for research on global commodity pricing power. The global commodity pricing regime has evolved from a single-anchor to a China-U.S. dual-anchor structure.Research Paradigm Statement: The core methodology, research direction, and final decisions were independently directed by the author. DeepSeek assisted with code implementation, data presentation, and text drafting. The author takes full academic responsibility for the final content.