Associated with magnetic fields of 2 conductors in close proximity. Referring to the figure below, if both the conductors carry current in the same direction (as in a transformer) the magnetic flux lines will be more dense near the junction of the two conductors. Consequently current will tend to flow along the halves that are not in close proximity to one another.
Similarly if currents are in opposite directions current will tend to flow along the halves of the conductors that are closer to each other. This has the effect of reduced effective conductor area.
Illustration of proximity effect. Conductors shown above carry current in the same direction. Current densities are higher in the halves away from the proximity.