It does hurt if the site is not relevant and related to your site's theme. Another one, if it contains too many links on its link page with uncategorized theme.
Yes,
You can do link exchange but only with theme related websites.Do not participate in buying and selling link.Just do natural link building and that will work.
Nope it won't hurt your site actually it can help somehow but just as they said it must be related...Don't take it just only a trading and nothing else, you must see the quality...