Each year there are over 300 natural disasters globally with millions of victims that cost economic losses near USD$100 billion. In the context of climate change, an emerging literature linking extreme weather events to HIV infections suggests that efforts to control the HIV epidemic could be under threat. We used Demographic and Health Survey (DHS) data collected during the 2015-2016 harsh drought that affected several areas of Malawi to provide new evidence on the effect of an unanticipated economic shock on sexual behaviours of young women and men. We find that amongst women employed in agriculture, a six-months drought doubles their likelihood of engaging in transactional sex compared to women who were not affected by the drought and increases their likelihood of having a sexually transmitted infections (STI) by 48% in the past twelve months. Amongst men employed outside of agriculture, drought increases by 50% the likelihood of having a relationship with a woman engaged in transactional sex. These results suggest that women in agriculture experiencing economic shocks as a result of drought use transactional sex with unaffected men, i.e. men employed outside agriculture, as a coping mechanism, exposing themselves to the risk of contracting HIV. The effect was especially observed among noneducated women. A single drought in the last five years increases HIV prevalence in Malawi by around 15% amongst men and women. Overall, the results confirm that weather shocks are important drivers of risky sexual behaviours of young women relying on agriculture in Africa. Further research is needed to investigate the most adequate formal shock-coping strategies to be implemented in order to limit the negative consequences of natural disasters on HIV acquisition and transmission.