Just one way of doing it:

use strict;
use Data::Dumper;
my @countries=('Argentina', 'Algeria', 'Belgium');
my %HoH;
while (<DATA>) {
  my ($period, @values)=split;
  my %temphash;
  $temphash{$countries[$_]}=$values[$_] for (0..scalar @countries -1);
  $HoH{$period}=\%temphash;
}
print Dumper(\%HoH);
__DATA__
Q4_2001 1 2 3
Q1_2002 4 5 6
[download]

CU
Robartes-

Update: Replaced qw// style quoting. See Zaxo's reply below as to why. Good catch, Zaxo!