Building your own ad network sounds hard, especially the part where you convince people to buy ads there instead of Google (or on top of, but it's less about the CPC than the general overhead, I assume).

Affiliate links might be a good idea in general, adding a partner tag to all links to Amazon for example. I'm sure Amazon doesn't mind, and it doesn't matter to the user, their prices are the same, though clearly stating it is a good idea. For the large retailers that get a lot of traffic and aren't too picky in signups, that could work, but hinges on you getting a lot of traffic that ends up in clicks to shopping related sites.

Unfortunately, I don't think there an ad network to do this. Everyone that I've seen that lets you link to a large variety of retailers without needing to sign up with each one is shady at best (and targets shady sites that wouldn't get affiliate status), so they won't work with the privacy-first approach.