Ethiopia is known as the birth place of Coffee Arabica and it has been and remains the leadingrncash crop and export commodity of Ethiopia. It accounts on average for about 5% of grossrndomestic product (GDP), 10% of total agricultural production and 60% of total export earningsrnfor the past three to four decades; and 50% of the total produced is consumed locally. The studyrnis aimed to develop a multivariate time series model which explains the price-volumernrelationship of coffee export in Ethiopia using vector autoregression (VAR) and vector errorrncorrection (VEC) model. The data used are monthly observations from September 2006 to Julyrn2011 of the volume of coffee export, free-on-board price, producer price and world price.rnUnit root tests of the series under study reveal that all the series are non-stationary at level andrnstationary after first difference. The result of Johansen test indicates the existence of onerncointegration relation between the variables and there is long-term dynamics between volume ofrncoffee export, free-on-board price, producer price and world price. Granger causality testrnindicates that there is no transmission of price signals from the world market to the local market.rnVAR (1) model analysis show that free-on-board price is significantly explained by its own pastrnand by lagged value of producer price. Furthermore, the result indicates that the volume ofrnEthiopian coffee export is not affected by price