Do link exchanges work?

Of course, they still work. I used to do it on a big scale back in 2015 when I started blogging. I did it on a high scale that I created websites just for the purpose of link exchange with the strategy that @tiiberius mentioned.

If you don't have a lot of budgets to buy PBN and guest posts, link exchange can be a good opportunity depending on the niche.

If I recall correctly, that's how we met actually :)
 
If domain you exchange has traffic and is valuable/contextual - yes it can bring a lot of positive effects
 
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