Depends on what you mean by a link exchange, and how many of them you participate in.
If you're talking about linking to a site that provides truly useful information for your site visitors, or complimentary products or services to what you offer... and in turn they decide to link back to you because they likewise think what you offer would be valuable to their
Well, Google doesn't have any problem with that. Links to useful resources are exactly
the kind of links they want to encourage. It really doesn't matter to them if two of you decide to link to each other. If there's an obviously good reason for you to link to the other site (and by that I mean not
"to boost rankings" but a real human-centered reason)... and an obviously good reason for the other site to link to you... then you don't have anything to worry about. Despite what some Chicken Little sky-is-falling types might say, there is absolutely no issue whatsoever with this type of link.
A friend of mine once called this "mutual linking," to distinguish it from "reciprocal linking," a term which has generally become identified with the spammy you-scratch-my-back-I'll-scratch-yours kind of scheme used by webmasters who focus too much on "rankings" and "traffic" and not enough on what's good for their site visitors.
If you think about it, you'll see it's unlikely you'd find huge numbers of such mutual links. A handful of links to high quality sites will never hurt you, even if those sites choose to also link to your site. Google will never intentionally do anything to discourage people from linking to high quality sites.
On the other hand, hundreds or thousands of links to sites of questionable quality, especially if you've sequestered all these links on a "resources" page that's buried six levels deep in a dark corner of your site... and they've all linked back to you from similar "resources" pages... well, that starts to look a little suspicious. And if they've all linked to you with "keyword rich" anchor text, it looks especially suspect.
So, in a nutshell:
Trading links with another legitimate, decent quality website because you and the other site owner each think the other site would be interesting/useful to their own site visitors... perfectly OK.
Swapping links with every bozo that comes down the pike because you think having lots of links pointing to your site is the road to high rankings, traffic and Internet riches... not so much.