A method of manufacturing a heat exchanger including a hollow fiber membrane layer (3A, 3B) that includes a plurality of hollow fiber membranes each of which has a hollow portion allowing a heat medium to pass therethrough and is obtained from a base material (3', 3") in which the plurality of hollow fiber membranes are accumulated so as to form an overall shape of a cylindrical body, the method comprising: a winding step of winding each of the hollow fiber membranes about an axis of the cylindrical body while the hollow fiber membrane is caused to be wound along an axial direction of the cylindrical body so as to obtain the base material (3', 3"), wherein in the winding step, each of the hollow fiber membranes is wound about the axis of the cylindrical body within a range from one round to less than two rounds during one round trip in which the hollow fiber membrane starts from one side toward the other side of the cylindrical body in the axial direction, turns back at the other side, and returns to the one side again, characterized in that in the winding step, the hollow fiber membrane is wound so as to satisfy the following expression: Traverse mm / rot × N = traverse oscillation width × 2 ± outer diameter of hollow fiber membrane + gap between hollow fiber membranes adjacent to each other × total number of hollow fiber membranes with 1 ≤ N < 2, wherein Traverse denotes the moving amount of the hollow fiber membrane during one rotation about the axis and traverse oscillation width denotes the moving amount of the hollow fiber membrane in an axial direction, wherein the hollow fiber membrane turns back at a turning-back point, wherein the hollow fiber membrane inclines with respect to the central axis, and wherein an inclination angle, also named traverse angle, Θ ranges from 40° to 70°, wherein in the winding step, a turned-back portion is fixed when each of the hollow fiber membranes turns back at the other side. a winding step of winding each of the hollow fiber membranes about an axis of the cylindrical body while the hollow fiber membrane is caused to be wound along an axial direction of the cylindrical body so as to obtain the base material (3', 3"), wherein in the winding step, each of the hollow fiber membranes is wound about the axis of the cylindrical body within a range from one round to less than two rounds during one round trip in which the hollow fiber membrane starts from one side toward the other side of the cylindrical body in the axial direction, turns back at the other side, and returns to the one side again, characterized in that in the winding step, the hollow fiber membrane is wound so as to satisfy the following expression: Traverse mm / rot × N = traverse oscillation width × 2 ± outer diameter of hollow fiber membrane + gap between hollow fiber membranes adjacent to each other × total number of hollow fiber membranes with 1 ≤ N < 2, wherein Traverse denotes the moving amount of the hollow fiber membrane during one rotation about the axis and traverse oscillation width denotes the moving amount of the hollow fiber membrane in an axial direction, wherein the hollow fiber membrane turns back at a turning-back point, wherein the hollow fiber membrane inclines with respect to the central axis, and wherein an inclination angle, also named traverse angle, Θ ranges from 40° to 70°, wherein in the winding step, a turned-back portion is fixed when each of the hollow fiber membranes turns back at the other side.