We experimentally study the statistical properties of the energy fluxes between two trapped Brownian particles, interacting through dissipative hydrodynamic coupling, submitted to an effective temperature difference ∆T , obtained by random forcing the position of one trap. We identify effective heat fluxes between the two particles and show that they satisfy an exchange fluctuation theorem (xFT) in the stationary state. We also show that after the sudden application of a temperature gradient ∆T , the hot-cold flux satisfies the transient xFT for any integration time whereas the cold-hot flux only does it asymptotically for long times.