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Price fluctuation of agricultural commodities is always an issue of concern for economists and policy-makers. This paper conducts a cointegration test for Vietnam’s coffee export price and world coffee price over the period 2008-2014. The conclusions are following. First, coffee price fluctuations have been very high during this period, indicating very high risks for coffee farmers. Second, in general, there is cointegration between Vietnam’s coffee export price and world coffee price. Third, Vietnam’s coffee export price has been more fluctuating than world coffee price, indicating more shocks for Vietnam’s coffee export. Fourth, based on Pairwise Granger Causality test, it shows that Vietnam has no market power over world coffee price although Vietnam is the second largest exporter of coffee in the world.