The transmission mechanism of monetary policy relies on the expectations agents have on future access to credit. We illustrate a simple dynamic model of firm's decision that relate access to credit expectations to current demand of bank loans and infer the conditions under which firm heterogeneity in formulating expectations and/or heterogeneity in forecast accuracy constitute a source of friction for the credit market. Then we document empirical relevance of both types of heterogeneity using a panel of German, Spanish, French and Italian firms. We find 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. Regarding heterogeneity in accuracy, we show that around 45% of firms fail to predict future availability of bank loans on average and that their forecast error components change over time. The tests we conduct reject the rationality of access to credit expectations. On the contrary, consistently with the hypothesis of adaptive expectations, we find that past access to credit forecast errors influence firms' current expectations, although with sizable cross-country differences.