Murray will be based in Amsterdam and will head a Team Volvo unit comprising staff from the Volvo agencies Euro RSCG 4D, Arnold and SapientNitro.
The Team Volvo line-up will also include Anthony Gillard, the global integration director at SapientNitro, and Bart van der Vliet, the global planning director of SapientNitro. Interviews are now taking place ahead of the appointment of a global creative director.
Team Volvo will create and co-ordinate campaigns for Volvo from offices in North America and China, as well as the 30-strong Amsterdam-based hub for Europe. Income from Team Volvo will be paid back to the three Volvo agencies.
Murray's departure from Dye Holloway Murray will result in the agency renaming as simply DHM. Its creative partner, Dave Dye, is planning to hire a new-business director to strengthen the team.
Murray, a former managing director of DDB London, said: "I will be working with three world-class agencies on a brand that is at an incredibly exciting stage of its development, in a city that is fast establishing itself as the creative centre of Europe."