It might be Peru, according to this from the Washington Post: (thanks, Matt!)
“Peruvians are a mopey lot. So says their president, Alan Garcia.
Garcia tells Radioprogramas that an inbred national melancholy must be to blame for his low approval ratings at a time when the economy is booming.
Garcia tells the radio station Saturday that “We are what we are: sad, distrustful … We have a natural lack of trust.” He says that in contrast, Brazilians “have another sort of nature, joyful and sunny.” “