Transparency International tries to uncover "shady" countries. You can see the results here: https://www.transparency.org/news/feature/corruption_percept...
To be honest, a good chunk of Europe and North America aren't terrible. There's room to be better. I'll let the data determine your decision.
Edit: Boy, the groupthink is strong in here. -1 for actually questioning bad practices in corrupt governments, and providing data and a tie-in to a likely phenomenon why.. And I attract trolls. Sigh.