That sounds like a hot water system you’re describing. I suppose it could be steam, but steam usually uses steam radiators.
Baseboard radiators as you describe aren’t very efficient for steam.
It’s also possible that you have electric baseboard heating. Sometimes the electric heating element is encased in a copper tube that looks just like water pipe.
Go down into your basement and look at the pipes or wiring that go up your floor to the radiators. If they’re electric cable, you have electric heat. If they’re copper pipe, you have hot water. If they’re larger steel pipe, you have steam.
If your system is hot water, you need to replace your furnace with a hot water furnace. You could do it on the cheap by using a water heater and a circulation pump instead of an actual furnace, but it’ll be more expensive to operate. A hot water furnace is tiny, about the size of a large microwave oven.
If your system is steam, you have to replace your boiler with a steam boiler. If you have a steam boiler, you’ll know it. Those suckers are huge!
If your system is electric, there’s no furnace at all, just heavy electric cables running to your breaker panel.
If you want to replace your baseboard system with a forced air system (maybe because you want central air?), you’re looking at a 10K to 20K expense, since you’ll have to run air ducts all through your existing finished walls.
Hot water and steam systems are the most economical to operate. But forced air has a lot of advantages, like being able to filter and sterilize your air continuously, add central air, etc.