The Caravan allows you to send resources to any player on the World Map, as well as to Clan resource production structures. This building also determines the maximum carrying capacity of your caravans. You can build the Caravan once your Capitol has reached level 10.

Click on any large tile you wish to place the building on.

Next, scroll sideways through the list of available buildings until you find the Caravan icon.
A 20% tax is levied on all caravans sent to other players.

You can demolish this building by following the instructions in this article.