A state-space modeling approach for examining dynamic relationship between multiple brain regions was proposed in Ho, Ombao and Shumway (Ho, M.R., Ombao, H., Shumway, R., 2005. A State-Space Approach to Modelling Brain Dynamics to Appear in Statistica Sinica). Their approach assumed that the quantity representing the influence of one neuronal system over another, or effective connectivity, is time-invariant. However, more and more empirical evidence suggests that the connectivity between brain areas may be dynamic which calls for temporal modeling of effective connectivity. A Bayesian approach is proposed to solve this problem in this paper. Our approach first decomposes the observed time series into measurement error and the BOLD (blood oxygenation level-dependent) signals. To capture the complexities of the dynamic processes in the brain, region-specific activations are subsequently modeled, as a linear function of the BOLD signals history at other brain regions. The coefficients in these linear functions represent effective connectivity between the regions under consideration. They are further assumed to follow a random walk process so to characterize the dynamic nature of brain connectivity. We also consider the temporal dependence that may be present in the measurement errors. ML-II method (Berger, J.O., 1985. Statistical Decision Theory and Bayesian Analysis (2nd ed.). Springer, New York) was employed to estimate the hyperparameters in the model and Bayes factor was used to compare among competing models. Statistical inference of the effective connectivity coefficients was based on their posterior distributions and the corresponding Bayesian credible regions (Carlin, B.P., Louis, T.A., 2000. Bayes and Empirical Bayes Methods for Data Analysis (2nd ed.). Chapman and Hall, Boca Raton). The proposed method was applied to a functional magnetic resonance imaging data set and results support the theory of attentional control network and demonstrate that this network is dynamic in nature.