Link exchange. Safe or Unsafe ?

[JeremyElectrical]

Don't do it. The risk is not worth what little/temporary reward in rankings you may or may not receive.

[Shirin Khan]

Calling link exchange "gray hat" is often just SEO jаrgon for "I know this is manipulation, but I want to do it anyway."
Reciprocal links can work, but scaled exchanges, footprint-heavy networks, exact-match anchors, and paid swaps are begging for algorithmic devaluation.

[mediacubikey]

Link exchange is not recommended in SEO. Google will punish the website.