Bill Murray said Friday he decided to play former White House chief strategist Steve Bannon on "Saturday Night Live" at the behest of a friend.
Plus, he joked, "They had a really good wig."
The comedian, actor and avid golfer got up early on the West Coast to join CNBC's "Squawk Box" from the AT&T Pebble Beach Pro-Am golf tournament.
Murray, an "SNL" cast member from 1977 to 1980, was asked how the Bannon impression came about. "My friend called me up and said, 'Would you like to be Steve Bannon.' I said, 'Who wouldn't.'"
"I said, 'Sure. OK. I'm going that way anyway.' And they had a really good wig," said Murray, who opened the first live "SNL" show of 2018 playing President Donald Trump's former advisor.
Instrumental down the stretch in Trump's victorious 2016 campaign, Bannon saw his rocky tenure as a White House strategist pushing a populist agenda come to an end after seven months.
Bannon, the twice former head of the conservative news organization Breitbart, has come under scrutiny recently because of his quotes in Michael Wolff's explosive book "Fire and Fury: Inside the Trump White House."
On CNBC Friday, Murray also commented on the numerous women in Hollywood coming forward with allegations of sexual harassment and assault by powerful men in the industry.
"If people are monstrous, it eventually comes back," Murray said. "This is unusual. People are getting their justice rather quickly."