Gradient-based optimization powered by the backpropagation algorithm proved to be the pivotal method in the training of non-spiking artificial neural networks. At the same time, spiking neural networks hold the promise for efficient processing of real-world sensory data by communicating using discrete events in continuous time. We derive the backpropagation algorithm for a recurrent network of spiking (leaky integrate-and-fire) neurons with hard thresholds and show that the backward dynamics amount to an event-based backpropagation of errors through time. Our derivation uses the jump conditions for partial derivatives at state discontinuities found by applying the implicit function theorem, allowing us to avoid approximations or substitutions. We find that the gradient exists and is finite almost everywhere in weight space, up to the null set where a membrane potential is precisely tangent to the threshold. Our presented algorithm, EventProp, computes the exact gradient with respect to a general loss function based on spike times and membrane potentials. Crucially, the algorithm allows for an event-based communication scheme in the backward phase, retaining the potential advantages of temporal sparsity afforded by spiking neural networks. We demonstrate the optimization of spiking networks using gradients computed via EventProp and the Yin-Yang and MNIST datasets with either a spike time-based or voltage-based loss function and report competitive performance. Our work supports the rigorous study of gradient-based optimization in spiking neural networks as well as the development of event-based neuromorphic architectures for the efficient training of spiking neural networks. While we consider the leaky integrate-and-fire model in this work, our methodology generalises to any neuron model defined as a hybrid dynamical system.