Somehow I always believed that [BAT] are pennies.

In terms of exchange value BAT is 50% more than Steem, but the difference is what one can do with it. BAT seem to have their context (e.g. within Brave and Publish0x to mention two I know of) and yet it all boils down to usability. The selling point is that the token is based on Ethereum, so it can keep credibility and stay relevant.

I wonder how BAT economy is functioning and how is it organized. Any idea? Where demand for BAT tokens are coming from? Advertisers?

To the best of my knowledge, yes. Brave as played a big part in attracting advertisers to invest on their ad-exchange platform and that's where the entire proposition began - it's called Basic Attention Token because it was born with advertising in mind.