Link Exchange negatively impact your site's ranking in search results. I checked here http://www.google.com/support/webmasters/bin/answer.py?answer=66356
Yes. Link exchanges can hurt you, especially if you exchange links with sites that are not relevant to your site.
Link exchange with non spamy sites was earlier considered good but now I think even irrelevant sites can cause penalty.
I also done link exchange with good page rank. Now my site totally page rank is decreased. I think link exchange not worth