The "Caravan arrives at X +X Wealth" is like the "Farm is completed, +x wealth" I think. I'll go test it out and come back with some answers.
What I found (The experiement was a quick batle, no computer players, germans on the himalaya map. Starting with ancient age):
Researched civics and economics.
Built a market and another city, the city as near as possible to my capitol. When market was finished ireceived teh build bonus and my gold income went from +0 to +10.
Built a caravan, which then started a trade route. It started at the capitol, and upon arriving at city #2, I got the message "Caravan arrived blabla" and got some trivial amount of wealth instantly.
The caravan went back to the capitol. Upon arriving at the capitol, my gold income raised from +10 to +18.
[This message has been edited by KobraKiller (edited 06-22-2003 @ 02:59 PM).]