Various time-varying conditional Copula models to study the extreme co-movement (appreciate or depreciate heavily together) between European country currencies and the Chinese renminbi from June 1, 2008 to Nov.30, 2016.This dependence structure has rarely been studied in the literature.Our findings show very strong evidence of a structure break in the extreme co-movement probability since the beginning of2016, not only in the level but also in its dynamics.More specifically, the extreme co-movement probability between European currencies and the Renminbi generally increases significantly and has become more persistent since the beginning of 2016.Possible factors affecting the extreme co-movement probability are studied, including economic policy uncertainty, bilateral trade openness and financial integration.The results of our panel regression analysis show that throughout the whole sample, the impact of bilateral trade openness between Europe and China and economic policy uncertainty are significant.Before 2016, the effects of bilateral trade openness are quite sizable.However, since the beginning of 2016, the economic policy uncertainty, especially China’s economic policy uncertainty, plays a key role.