Abstract: International non-ferrous metals prices and U.S. dollar index are important reference indicators for studying the macroeconomic situation, and the linkage effect between them is an important phenomenon in macro-economy. In this paper, using high-frequency data in the financial market, the dynamic correlation coefficient between the dollar index and five kinds of non-ferrous metal prices were calculated by constructing a DCC-GARCH model. And an empirical mode decomposition on the dynamic correlation coefficient was made. Finally, the Granger causality test was carried out about the dollar index and the prices of non-ferrous metals. The results show that there was a significant correlation between the dollar index and the international non-ferrous metal prices; there was a significant nonlinear Granger causality relationship between the dollar index and copper, lead, zinc, nickel; there existed an asymmetric causal relationship between aluminum price and Granger. According to the results of the empirical research, this paper draws the following conclusions:there is not necessarily a negative correlation between the dollar index and non-ferrous metal prices; the dollar index has a local influence on non-ferrous metal prices; there is a positive relationship between the size of the trading volume, volatility and the correlation coefficient; correlation has strong synchronism with the economic cycle; there is a nonlinear two-way transmission mechanism between the dollar index and copper, lead, zinc, and nickel; the influence of the dollar index on aluminum price is asymmetric. The influence of the US dollar index on aluminum price is linear transmission mechanism, and the influence of aluminum price on the dollar index is nonlinear conduction mechanism.