Hi Big Uncle,
I have seen a few website citing that it was the 4th Panchen Lama who was given the title Panchen by the 5th Dalai Lama, but there's no actual source of Tibetan literature quoted. I will refer to what has been posted by TK (the 1st post on this thread) then as it has listed good original sources in Tibetan.
Chokyi Gyaltsen was declared the 4th Panchen Lama and three previous lamas were posthumously identifyied as the first through third. On one site, it has reference about the connection between the title given by Bodong Choklay Namgyel to the 1st Dalai Lama and eventually "transferred" to the Panchen Lama.
Gyalwa Gendun Drup (The 1st Dalai Lama) also
received the name Panchen from an erudite Tibetan contemporary, Bodong Choklay Namgyel, when he answered all of the latter's questions. Panchen means "great scholar," from the Sanskrit word
Pandita, meaning "scholar," and the Tibetan word
Chen Po, meaning "great." The successive abbots of Tashi Lhunpo Monastery were all called "Panchen."
Then, in the 17th century, the Fifth Dalai Lama gave Tashi Lhunpo Monastery to his teacher, Losang Chokyi Gyeltsen (1567-1662), the 15th abbot of the Monastery.
As Abbot of the Monastery, he was called Panchen, but he came to receive the distinctive title "Panchen Lama" when the Fifth Dalai Lama announced at his teacher's death that his teacher would reappear as a recognisable child successor. Since that time it has become convention for the Dalai Lama and Panchen Lama to be involved in the recognition of each other's successor.
From:
http://www.friendsoftibet.org/sofar/calcutta/hands.html