To clarify, the "world" doesn't refer to Germany at all. The English speaking countries of the world do, but there are plenty of other names for what we call Germany.
Most notably, in French, Spanish, and Portuguese the word is Allemagne, Alemania, and Alemanha respectively which is a throwback to the Alamanni tribes (as opposed to the Franks which became France - but that's another story)
We refer to Germany because of the Latin Germania or the Greek Γερμανία - which was their name for the land we now refer to as Germany.
Germans and other Germanic languages come from different roots than English (though yes, English is also considered a Germanic language but let's not get confused here). The Proto-germanic word for Germany was Þeudiskaz which evolved into Deutchland, Tyskland, and Duitsland for German, Norwegian, and Dutch respectively. Swedish and Danish also use the same word as the Norwegian.
Finnish refers to Saksa which derives from the name for the Saxon tribe, and Eastern European languages refer to Niemcy, Německo, and Németország in Polish, Czech, and Hungarian respectively which come from the Protoslavic němьcь.
Other languages outside of Europe tend to follow these Germany/Allemagne/Deutchland language families. Without wanting to invoke the wrath of the mods (and please notify me so I can remove this section instead of having the entire comment nuked) I leave you with this Wikipedia article that has a list of the names for Germany sorted by language group.
Edits: formatting, spelling, and also realising I'd missed out the entirety of Eastern Europe from this explanation.
I was just wondering this aloud the other day, in fact: Timely question, OP!
To further pursue this question, in English we refer to it as Germany. In Spanish it's Alemania. Why is there such a difference, particularly against "Deutschland?"
Hi, you may be interested in this recent post
These two are tangentially related, and provide a bit more info
Why do we call people from The Netherlands "Dutch"? (and follow the link to another post on the same subject)
Or Finland/Suomi for that matter.
As a followup, when did "Germany" become the predominant term in English-language sources? Was there a phase when some of the other terms - Alemania, Deutschland - were also used in English sources?
In Mandarin it's德国 or 德國 which is pronounced dé guó. 德 (dé) is for the sound and 国 or 國 means country. From this I'd conclude the mandarin word was based on Deutschland and not Germany:) . They kept the de sound and translated land (country)