The exact location of the gamma-ray emitting region in blazars is still controversial. In order to attack this problem we present first results of a cross-correlation analysis between radio (11 cm to 0.8 mm wavelength, F-GAMMA program) and gamma-ray (0.1-300 GeV) ~ 3.5 year light curves of 54 Fermi-bright blazars. We perform a source stacking analysis and estimate significances and chance correlations using mixed source correlations. Our results reveal: (i) the first highly significant multi-band radio and gamma-ray correlations (radio lagging gamma rays) when averaging over the whole sample, (ii) average time delays (source frame: 76+/-23 to 7+/-9 days), systematically decreasing from cm to mm/sub-mm bands with a frequency dependence tau_r,gamma (nu) ~ nu^-1, in good agreement with jet opacity dominated by synchrotron self-absorption, (iii) a bulk gamma-ray production region typically located within/upstream of the 3 mm core region (tau_3mm,gamma=12+/-8 days), (iv) mean distances between the region of gamma-ray peak emission and the radio tau=1 photosphere decreasing from 9.8+/-3.0 pc (11 cm) to 0.9+/-1.1 pc (2 mm) and 1.4+/-0.8 pc (0.8 mm), (v) 3 mm/gamma-ray correlations in 9 individual sources at a significance level where one is expected by chance (probability: 4 times 10^-6), (vi) opacity and time lag core shift estimates for quasar 3C 454.3 providing a lower limit for the distance of the bulk gamma-ray production region from the supermassive black hole (SMBH) of ~ 0.8-1.6 pc, i.e. at the outer edge of the Broad Line Region (BLR) or beyond. A 3 mm tau=1 surface at ~ 2-3 pc from the jet-base (i.e. well outside the canonical BLR) finally suggests that BLR material extends to several pc distances from the SMBH.