The identification of cognates is a fundamental process in historical linguistics, on which any further research is based. Even though there are several cognate databases for Romance languages, they are rather scattered, incomplete, noisy, contain unreliable information, or have uncertain availability. In this paper we introduce a comprehensive database of Romance cognates and borrowings based on the etymological information provided by the dictionaries. We extract pairs of cognates between any two Romance languages by parsing electronic dictionaries of Romanian, Italian, Spanish, Portuguese and French. Based on this resource, we propose a strong benchmark for the automatic detection of cognates, by applying machine learning and deep learning based methods on any two pairs of Romance languages. We find that automatic identification of cognates is possible with accuracy averaging around 94% for the more difficult task formulations.