Whitledge, Matthew D.; Winters, Drew B. - In: Journal of Banking & Finance 54 (2015) C, pp. 104-114
We examine the cost of liquidity in rates on CDs purchased by money market funds (MMFs). We find no evidence that rates vary directly with the size of CDs. However, we do find that large MMFs receive higher rates on large CDs than small MMFs. This suggests banks pay for (potential) liquidity.