In the world of globalization and free international movement of capital and money, one of the main risks today is country risk, especially in cross-border investment activities. Country risk shows the probability of losing money that an investor may face due to choosing to invest funds in one country instead of another alternative country and includes political and economic risks. Political risks include business losses caused by non-market factors such as government action or inaction and events associated with political instability such as wars, coups, insurgencies and terrorism. One of the ways to measure the country's risk is the credit rating. The credit rating shows the assessment of certain specialized agencies on the borrower's ability to repay their debt on time. Investors most often rely on the opinion of credit agencies because of the costs that would arise if they analyzed the indebtedness of a particular country and its ability to repay. In contrast to the previously discussed measure of the country - the credit rating, whose poor assessment was the cause of the debt crisis in the EU, measures have been defined that can be an alternative and solve the problem of slow changes and delays in the above-discussed measures of market reaction: the yield range of government bonds and the CDS range. The aim of the paper is to analyze the influence of political stability on the cost of state borrowing. A panel data analysis was carried out on a sample of 9 stable and unstable countries of the European Union, in the period from 2009 to 2022, analyzing the importance of political risk at the expense of the credit risk of the state and the interdependence of political risk and other macroeconomic variables. The results of the analysis showed that the growth of political risk influenced the increase in the cost of borrowing in the selected countries and that the variable of political risk is not necessarily related to other macroeconomic variables.