The Dynamics of Three Currencies’ Bid–Ask Spread From the Perspective of Import–Export Success: Novel Findings for Digital Trade and Sustainable Production

Abstract

Import and export have been acknowledged for their beneficial effects on sustainable economic development. In the context of economic globalization, the dynamics of exchange rates are more critical and necessary to export success and sustainable development. Therefore, understanding the dynamics of exchange rates contributes to the achievement of export success so as to promote sustainable production. The aim of this research was to find out the dynamics of spreads in foreign exchange rates over 15 years and the systematic relationship between dynamics of spreads in foreign exchange rates and information arrival and dynamics of spreads and cost of carry. The multiple regression, dummy variable test, and vector autoregressive model show that most variations in the spreads result from relative spread rather than information arrival and cost of carry for the long term. The information arrival and cost of carry have almost no influence upon relative spread, even during the global financial crisis in 2008. This article suggests that exporters should pay more attention to the effects of relative spread rather than information arrival and cost of carry in the foreign exchange market when they carry out foreign trade.