According's to Joule's law of heating, the amount of heat developed per second by a wire of resistance R due to the flow of electric current I is \(H=I^2R\Rightarrow H\propto R\) for constant I.
The copper wire has less resistance and resistivity i.e., high conductivity. Hence the heat developed per second in the wire and power loss due to heating effect is less. So, copper wires are used for connecting wires.