Contents -- I. Introduction -- II. Methodology -- A. Generalized Dynamic Factor Model -- B. Estimating Common Components by a One-Sided Filter -- III. Building a GCC Area Database -- IV. A Coincident Indicator for the GCC Business Cycle -- A. Definition of the Coincident Indicator Properties -- B. Properties of the Coincident Indicator -- C. The Construction of a Coincident Indicator -- V. Degree of Commonality and Cyclical Behavior of the Variables -- A. Degree of Commonality -- B. Business Cycle: Stylized Facts -- VI. Observed Economic Variables and Latent Factors -- VII. Conclusion -- References -- Tables -- 1. The Direction and Timing of Variables Against the Coincident Indicator -- 2. Testing the Observed Macroeconomic Data Against the Latent Factors -- Figures -- 1. Average Dynamic Eigenvalues Over Cross-Sectional Units -- 2. Percentage of Variance Explained -- 3. Spectral Density Functions of All Eigenvalues -- 4. Average of Spectral Density Functions -- 5. The GCC Coincident Indicator and the GCC Area GDP Growth Rate -- 6. The GCC Coincident Indicator and the Common Component of National GDP -- 7. The GCC Coincident Indicator and the Common Component of National GDP -- Appendix -- I: Data Set -- Appendix Tables -- 1: Data, Degree of Commonality, and Cyclical Behavior.