http://www.nationmaster.com/country-info/stats/Economy/New-b...
Now, if you mean startups as a specific type of new and arguably lower risk business backed by VC money. That has more to do with VC funding than people willing to take risks.
For example, Cyprus is rocking that chart, but isn't a country with a particularly strong welfare system -- the reason it's on top is because it's a popular destination jurisdiction, not because it's a cradle of entrepreneurial spirit. Malta's in a similar boat.
Also, strength of social welfare system is not predictive; for example, Sweden is below the average of EU, OECD and NATO countries.
Finally, Singapore scores quite well, and while it probably has somewhat of a destination jurisdiction effect, it is hardly a welfare state.
However, the US is relatively far down on this list relative the way we talk about it as a bastion of innovation. I mean we are just above France which does not fit the narrative about strong worker protections preventing new businesses.
If you look at how the data has changed over time as a proxy (in some cases) for uncertainty on the data, you can see that Sweden's current rates are new. In the 2000s, the US was well ahead of it. However, in the 2000s, the US had a Bush administration; Sweden's social welfare net hasn't significantly changed in relative scope during the last decades. If it is true that social welfare nets promote innovation and companies per capita are a good proxy for innovation, why has that changed?
Number of entities for innovation is a questionable proxy for reasons already mentioned in my grandparent comment. As another example, taking your example of France: regulation changes pretty drastically as company size increases, which promotes creating new companies instead of growing existing ones, artificially driving up the number of entities while not really having a meaningful effect on innovation and only having a small effect on de-facto corporate structure.
If there was a predictive effect, shouldn't we be seeing other evidence of entrepreneurship where at least some of these countries also do well?
For example, measures of economic mobility (ability for persons to traverse up the economic class system) are dismal for the U.S. as a whole. But for California specifically we're more-or-less on-par with the best nations. At least, that's what I remember from the RadioLab podcast on the subject. I've always been more skeptical of U.S. wide statistics since then.