Without a shadow of a doubt its a bad thing, people assume Google won't pick up on it but its pretty obvious to the Google spider and I would imagine Google will trust you less, I think all link exchanges should be just for traffic and webmasters should use the "nofollow" tag too prevent sites you link to getting PR. Its one of the reasons why many sites in the scene wont go above a PR2-3 because Google has picked up on it. If your going to link exchange for pagerank you should do a 3 way link exchange much harder too pick up. You should focus on getting quality links your site and naturally your PR will go up you don't really need link exchanges they do more harm than good really.