HIV prevention remains critical in tackling HIV as a public health threat. Vast gender inequalities in acquiring new infections across Africa mean young women face a disproportionately higher risk of acquiring HIV than their male counterparts. This thesis aims to improve understanding and generate new evidence on the link between economic vulnerability and HIV transmission among women in Africa. It applies economic theory to empirically explore how incentive structures surrounding risky sex can be leveraged to smooth consumption for women and their families during economic shocks. This thesis comprises four original research papers. The first research chapter is a systematic literature review investigating the role of economic shocks on risky sexual behaviours, revealing that persistent negative economic shocks consistently lead to behaviours that increase HIV risk; however, positive shocks, mainly unconditional cash transfers, typically lack the size and targeting required to elicit a protective response. The three empirical papers are preceded by a conceptual framework chapter that conceptualises the use of risky sexual behaviours, including transactional and commercial sex, for consumption smoothing. The second research paper is an empirical investigation of the impact of Tabaski, a religious festival celebrated in West Africa, upon risky sexual behaviours using primary data from an observational study of female sex workers in Dakar, Senegal. It finds condomless sex, measured robustly using the list experiment, falls by between 27.3 percentage points (65.5%) and 43.1 percentage points (22.7%) in the nine days before Tabaski, or a maximum of 49.5 percentage points (76%) in the week preceding Tabaski. The third paper studies the impact of out-of-pocket health expenditure shocks on condomless sex again within the same sample of female sex workers in Dakar. This uses the same dataset as the previous research paper finding that female sex workers utilise increased sex work as their primary form of coping with out-of-pocket health expenses and that these health shocks lead to between a 62% and 70% decrease in condom use during their last sex act. The final research chapter utilises Demographic Health Surveys to investigate the impact of drought on the prevalence of transactional sex and its role in HIV in Africa. It finds increases in the prevalence of transactional sex for women by around 35%, rising to 50% for those in rural areas suffering droughts. It also provides evidence that increases in transactional sex account for a small but meaningful proportion of the increase in reported STI symptoms and HIV. The thesis demonstrates that economic marginalisation in the absence of formal safety nets leaves many women in Africa at risk of engaging in commercial and transactional relationships, plus the incentive for condomless sex, significantly increasing their exposure to and risk of HIV. The main lesson from this thesis is that policy should focus on smoothing the economic variability faced by women in Africa to avoid the need to use risky behaviours to support themselves. Policy to protect women needs to increase their economic resilience to cope with income fluctuations but also target support around specific shocks such as Tabaski, health expense shocks and consequences of climate change. The findings suggest that women engaged in transactional sex are at high risk of HIV and should be considered a key population to reduce the disproportionate HIV infections among young women and continue the ongoing fight against HIV.