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Do exhaust systems really increase horsepower? The short answer is: yes. Exhaust systems do increase horsepower in vehicles such as BMW 335d M performance exhaust. An exhaust system is a set of pipes that carry exhaust gases away from your car’s engine and out into the atmosphere. They help you get rid of harmful gasses, like carbon monoxide and hydrocarbons, that stay in your car when you turn on the throttle.