The exchanges can create bitcoin out of thin air if they are dominating the exchange like MTGOX. But now, each exchange can only control a small part of coins, if they create too much coins and crash the market price, the arbitrager will rush in and buy and withdraw, cause they to buy back coins from other exchanges to deal with the withdraw (Their coins out of thin air are not possible to withdraw)
But you are right, exchanges works exactly like banks, they have the possibility to create coin out of thin air. That's the reason people should stick with P2P exchanges thus get rid of the middle man. My favorite is localbitcoins, you have zero risk of market manipulation by localbitcoins