Late in 1988, crime writer T.J. English interviewed Bill Murray for a profile in Irish America. This was just before Scrooged came out. At the time, Murray was thoroughly a celebrity, though he was not yet the legend he is today (for instance, Groundhog Day was five years away and Lost in Translation 15 years out).
In the interview, Murray discusses the effect of becoming famous, and how he narrowly avoided remaining caught up in the "fast life" that killed John Belushi. Here's a relevant exchange:
Bill Murray: ... I realize it’s impossible to have any sympathy, I mean, true sympathy, for people that are famous. People usually go through a bad period when they first get successful. You’re new and you’re hot and things go wrong. So you’re not used to all the attention, people treat you differently, and what happens is you start taking that seriously and then you start becoming an ass and then they treat you like an ass, and then— TJ English: Was there a period like that for you where things were a little out of control? Bill Murray: Right now.
For a complete transcript, outtakes, and much more, check out the Blank on Blank page about the Murray interview. The transcript is way at the bottom, after a bunch of Bill Murray miscellany.