Abstract: The present invention relates to a system of heat exchange between a building (1) and the Earth's subsurface (5), comprising a closed loop with at least one pipe (9) installed in said subsurface (5) for heat exchange with subsurface (5), and connected by connecting pipes (4, 7) to at least one pipe (6) installed in said building (1) for heat exchange with building (1), the closed loop comprising a circulation pump (P) for circulating a fluid through said closed loop, and the fluid comprising capsules containing phase change materials. The invention also relates to a method for cooling or heating a building (1) from the heat exchange system between a building (1) and the Earth's subsurface (5). FIG. 1 to be published.