This paper reports an information-theoretic analysis of the dependencies that exist between curvelet coefficients. We show that strong dependencies exist in local intra-band micro-neighborhoods, and that the shape of these neighborhoods is highly anisotropic. With this respect, it is found that the two immediately adjacent neighbors that lie in a direction orthogonal to the orientation of the subband convey the most information about the coefficient. Moreover, taking into account a larger local neighborhood set than this brings only mild gains with respect to intra-band mutual information estimations. Furthermore, we point out that linear predictors do not represent sufficient statistics, if applied to the entire intra-band neighborhood of a coefficient. We conclude that intra-band dependencies are clearly the strongest, followed by their inter-orientation and inter-scale counterparts; in this respect, the more complex intra-band/inter-scale or intra-band/inter-orientation models bring only mild improvements over intra-band models. Finally, we exploit the coefficient dependencies in a curvelet-based image coding application and show that the scheme is comparable and in some cases even outperforms JPEG2000.