Sending link exchanges to blog on subdomain?

I recently set up an ecommerce store and have been trying to do some link building. I don't want a links page on the main page, so i was thinking about doing a links page on the blog. The other sites would link to the main domain, and I would link to them from my subdomain. Is this a bad idea?

blog.mystore.com (will link to other people)
www.mystore.com (will recieve links from other sites)

Any suggestions?

Why would it be a bad idea?

Link exchange is not a bad idea of course. In fact it is something like traffic exchange programs.