The number and quality of websites that link to your website is one of the most important factors that help ALL search engines to determine your site's relevance for a search phrase. Link Exchange or reciprocal links with other websites has proven to be a very effective solution for webmasters seeking to improve their search engine rankings.
Link building is very effective to increase crowd on the targeted website,it is done through direct building link or through link exchange.
In link exchange you have to also build the link of that website where you want to build your link.
Link building is more helpful if the site is related to your niche,people also build link to other sites but it doesn't help much and maximum time it increases bounce rate which is not good,but sometimes it also help to make some crowd.
Some webmasters own multiple sites and try to build up one of their specific sites by offering link exchanges from their other sites. In doing this they add a link to you on their other site and get you to link to the main site they are trying to build up.
Link exchanges are not very fruitful these days as Google considers them as link trades between websites. Hence one way link building is more important that tends to build natural backlinks for your website.