It does no cause dirt, it takes the dirt that already exists and deposits it
on the wall. Baseboard heaters get hot, heat the surrounding air, the air
rises and carries with it any dist and dirt in the air as it draws the
cooler air from under it.
Vacuum and dust more often and consider an air cleaner if it is very bad.
It only causes it to show up there. It does not make it, it only works
with what is already in the air of your home.
The warmth causes air to rise and move up the wall. Since there is dust
in the air some of it gets deposited on the wall. Otherwise it likely would
have ended up on your floor. The only way to prevent it is to get your air
super clean and that is a lot harder than you might think.
BTW the same thing will happen where cold air flows down a wall.
I would guess that some slight static builds up between the air and the
wall that causes some of the dirt to be attracted to the wall as it is in an
electrostatic air cleaner, but less effectively.
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