As important financial markets, fluctuations in the crude oil market and the exchange rate market will be affected by the entire macroeconomics. In order to measure the interdependence more accurately and strengthen the risk management of the two markets, it is necessary to identify the common factors of the two major markets and identify the dynamic dependencies by factor analysis. For this purpose, this paper uses the two crude oil futures prices WTI and Brent as well as the exchange rates of 14 oil trading countries’ daily yields from 2000 to 2020. By extracting the common factors and constructing the dynamic factor copula model to reveal the oil price–exchange rate dependences, and to measure the risk spillover effect. The two-factor copula model is more suitable for studying the dependence of exchange rates and oil prices by statistical indicators and graphs, so the two-factor copula model is used. Our findings indicate that the public factor better reflects the trend of the global economy. Considering the public factors, the oil price–exchange rate dependences in oil importers is slightly lower than in oil exporters, even though the dependence is weak in general. Affected by various factors, the risk spillover of the crude oil market to the foreign exchange market is higher than the latter to the former, indicating that the crude oil market fluctuates more significantly. Therefore, the supervisory authority should be concerned about cross-risk spillovers between financial markets and pay more attention to the dynamic changes in those public factors.

factor analysis,oil price,exchange rates,factor copula model,CoVaR