The transmission mechanism of monetary policy relies on the expectations agents have on future access to credit. This paper illustrates a dynamic model of firm's decision that relates access to credit expectations to current demand of bank loans, and derives the conditions under which firm heterogeneity in both formulating expectations and forecast accuracy constitute a source of friction for the credit market. Using a panel of German, Spanish, French and Italian firms in the period 2010-2016, I test the model and find that better expectations on future (six-months) access to credit reduce the probability for a firm to demand bank loans. A higher forecast accuracy amplifies this effect. The results also show that access to credit expectations are heterogeneous and depend on: (i) structural characteristics of the firm; (ii) changes in balance sheet indicators; (iii) firm-specific private signals. The tests reject the rationality of access to credit expectations. On the contrary, consistently with the hypothesis of adaptive expectations and learning, previous period's forecast errors influence firms' expectations. The paper also finds a change in the composition of average forecast error after the introduction of ECB's OMT program.