No and Yes No, if you do link exchanges with relavant sites and follow google gudelines. Yes and may be if you are exchanging links with bad sites, involved in link exchange schemes or programs and violate google guidelines.
few recip links are fine. but link exchange is not the only link building mehtod you should use. if you find relevant sites that you can exchange links with, then thats fine but use other link building methods as well. too much link building will not work as google will discount such link. source
Most probably it won't do any harm unless you are exchanging links with totally non-relevant spam website but it won't bring any SEO benefit either.
As said by the posts above, link exchanges don't harm but they normally hold less SEO value too. Having link exchanges with 'bad neighborhoods' can get you penalised or even banned. One thing to be remembered while doing link exchange is that the other site must be of the same niche as yours and should not be penalised in any way by Google.
If you exchange links with relevant and high authority websites, it's far better than all other easily doable strategies. Because when you are exchanging links with high authority website, Search Engines know you must be something of high value that a web site of high authority is referring you. Works just like real life
As with everything else in SEO, "It Depends". If say, 25% of the links on your site are reciprocal links, and they're with "high quality" sites that are related to what you do, it will help. Mostly. Reciprocal links in general don't have much value, and even small numbers of recip links with "spammy" sites can have VERY bad results. We exchanged perhaps 15 links on one of our sites (out of 150 links total) with a couple of "sketchy" link directories, and 3 days later Google dropped us from the index. Not -30 not -60 outright DROPPED. And after removing the links, it's still not back even after 2 weeks. So be careful. ^F^
Links from relevant sites would be useful, and if your do it with site that has higher PR than yours, you can only benefit.
i think reciprocal links harms ranking....since the value that you are geting from the link...same value is passing from your site...then what is the use of it....
If you are building reciprocal linking with quality and specific to your domain websites then you can continue doing it or else once have a look at Google guidelines it may help you a lot..