Given that the gold market and the crude oil market are the main representatives of the large commodity markets, it is of crucial practical significance to analyze their cointegration relationship and causality, and investigate their respective contribution, from the perspective of price discovery, to the common price trend so as to interpret the dynamics of the whole large commodity market and forecast the fluctuation of crude oil and gold prices. Empirical analysis indicates that, first, there are consistent trends between the crude oil price and the gold price with significant positive correlation coefficient 0.9295 during the sampling period, from January of 2000 to March of 2008. Second, there can be seen a long-term equilibrium [...]