This paper is the result of the Bank of Italy-CEPR project to construct a monthly coincident indicator of the business cycle of the euro area. We use the information contained in large panel of harmonized monthly statistics in order to obtain an indicator having three characteristics: (i) it provides real time information on monthly coincident activity since it is updated as new information become available in a non-synchronous way; (ii) it is cleaned from noise originated from measurement error and idiosyncratic national and sectoral dynamics; (iii) it is cleaned from seasonal and short-run dynamics. The procedure takes into consideration the cross-country as well as the within-country correlation structure of the data. A characterization of the dynamic relations of the series with respect to the coincident indicator and a dating of the euro area cycle are provided.