Former Federal Reserve Governor Kevin Warsh said Friday he expects the Fed and other central banks around the world to act soon in response to the coronavirus outbreak.

Warsh, occasionally rumored to be a candidate for Fed chairman after Jerome Powell's term expires, spoke Friday morning to CNBC's "Squawk Box." He recommended the Fed act as quickly as Sunday to assuage financial markets that have been in an aggressive swoon all week as the virus has spread.

"This thing's moving pretty darn quickly," he said. "At the very least, a statement on Sunday night before Asian markets open would buy them a little time and let us all learn a little bit more about where things are."

He said the Fed doesn't have a lot of ammunition to help markets and the economy, so it needs to act quickly in a coordinated fashion with other central banks like the European Central Bank, the Bank of England, the People's Bank of China and the Bank of Japan.

"They've got a knife. There's a gunfight," he said. "You might as well go find some friends that also have knives and see if you can't to it together."

Speaking the day after his op-ed in The Wall Street Journal called on the Fed to cut interest rates, Warsh said he wishes the Fed would have more ammunition to help in times of crises.

A Fed official during the financial crisis in 2008, Warsh has been critical of U.S. monetary policymakers for not normalizing interest rates sooner and thus leaving themselves more room to act when necessary.

"We certainly didn't know this virus was coming. But we knew that complacency in a world like this sets itself up for big tail risks," he said. "But you go to market with the Fed you've got, not the Fed you want."

Wall Street has been in turmoil as the virus has spread beyond China's border and to countries around the world. Stocks entered correction mode Thursday, with the 10% drop being the quickest in market history.