I have a page on my websites indicating all Consulates and Embassies of YYYY country Each Embassy or consulate address obviously has the name of YYYY country I wanted to put the YYYY country as an anchor text each time for better SEO Is that a good idea or will Google penalize me for having the same anchor text more than 40 times on my "Embassies and Consulates" page? What would be the best thing to do in this case?
Try to not have more than 3 links per post page because there is only a certain amount of 'juice' that the page can pass, and more than 3 would be futile. Maybe break your page into multiple pages or divide by city.
It may harm your site in terms of quality, search engines may consider it as a spamming, you must keep the keyword density in between 5% to 7%. Also, your targeted keywords should come once after every 100 words.
I think that this would look really bad SEO wise. I think that you should try to use the keyword at a rate of about 5% of your total word count and this could still be more than enough, otherwise your website could look spammy to the search engines and this could really harm your rankings! I just saw you are talking about anchor text which in my opinion is even worse. I wouldn't use the same anchor text on the same page more than twice to be honest...
Not a good idea to put such a long list of links on a single page unless they are quite different in keywords. Better to divide it into multiple pages.
you can maintain your keyword density around 5% to 6% because this standard percentage as per search engine terms and condition.