There is nothing wrong with exchanging links (though I do not do it) just make it appears to Google that you are doing it for the benefit of your visitor.

I no exchange links - I just make sure that the quality of my sites are so damn good that people want to link to me. I do link to a lot of other sites (some link back to me), but it usually on a content page and the link is in the context of the content of that page.

CBP