I want to analyze how the interest rate affects the exchange rate for CORE euro area countries (France, Germany, Belgium, and Finland) over 2010-2020. The problem is that since they have the same monetary policy, the interest rate will be the same for each country in every quarter or month. When I do Pesaran unit root test It shows that the variable (interest rate with the same values for those four countries) is not stationary. Next, I create the first difference and it shows the same nonstationary value. This is not the problem for this particular variable, for every variable which is common for multiple countries due to the same monetary policy the problem remains. For instance, monetary aggregates are the same for every euro area country, values repeat, and can't be fixed to be stationary.
Can I do something in Excel (in a database) to organize somehow the data and fix this problem?