Motivated by recent interest in identification of functional brain networks, we develop a new multivariate approach for functional brain network identification and name it as Multivariate Vector Regression-based Connectivity (MVRC). The proposed MVRC method regresses time series of all regions to those of other regions simultaneously and estimates pairwise association between two regions with consideration of influence of other regions and builds the adjacency matrix. Next, modularity method is applied on the adjacency matrix to detect communities or functional brain networks. We compare the proposed MVRC method with existing methods ranging from simple Pearson correlation to advanced Multivariate Adaptive Sparse Representation (ASR) methods. Experimental results on simulated and real fMRI dataset demonstrate that MVRC is able to extract functional brain networks that are consistent with the literature. Also, the proposed MVRC method is 650–750 times faster compared to the existing ASR method on 90 node network.