Hello Majda,
Yes, all of these create the "inner map" how we evaluate situations and interact with our world. It begins on the unconscious level in feelings of safety or unsafety, which produce an autonomic response and somatic feelings. In your example, when taking an exam you felt unsafe (here due to a lack of confidence) and had a sympathetic response (tachycardia, sweating, etc.) which you identified as feeling anxious. (To me, fear/anxiety is an emotion.) Your brain explains the fear for you by a thought like "I can't do this, I don't like this" which describes your lack of confidence. Your brain ties the emotion to the situation and a belief is created "exams are stressful, because I am judged". The belief primes your expectations and prepares your responses for the future, you are co-creating your reality.
Compare this to the slide in our [https://www.meta-health.net/tiki-download_file.php?fileId=2204|first session] with that title!