Will it do good or bad to my new site?

The concept goes like this:

Google frowns on reciprocal links. While a handful of them is okay, any more than that can bring repercussions for your rankings. At their best, they provide no link juice at all to websites that use them since Google automatically discounts them (the only value is when the links are used the way they should be used -- to refer people to another site which has material they may find useful which isn't on your site).

In order to get around Google's restrictions, some people started to do three way exchanges. The idea is that if I own two websites, I'll make a deal with you where I put a link to your website on site A. You then put a link to site B on your site. This way, it appears to Google as if it's a one way link, which does give link juice.

The problem with this approach is that Google considers it to be black hat SEO. While it's not illegal, if Google catches you doing it, they can punish your site by moving it way down in the rankings or they may even de-index you completely (i.e. you simply won't appear in the rankings at all).

Considering that it's primarily amateurs and spam artists that engage in this kind of activity, it's generally considered a waste of time and isn't done by any professional SEO experts.