It won't harm the linked site by itself. It might harm the linking site as you are passing alot of trust on all your pages. Also look into the links history of the sites invloved but thats another question.
in my opinion , making site wide link exchanges or buying site wide links will not hurt your ranking. one of my sites has so many site wide link . these links are shown on google webmaster tools > links page and that site has good serp results on many keywords