The application relates to a hearing device, e.g. a hearing aid, comprising a first part for being inserted in an ear canal or fully or partially implanted in the head of a user, the first part comprising at least one electrode unit, termed a PR-electrode unit, for making contact to skin or tissue of a user when mounted or implanted in an operational condition, the at least one PR-electrode unit being configured to pick up a physiological response from the user, and wherein the at least one PR-electrode unit comprises an electrically conductive material, e.g. a shape memory alloy. The first part may comprise an implanted part, e.g. in combination with an external part adapted for being located in an ear canal, wherein both parts comprise one or more PR-electrode units. The invention may e.g. be used hearing aids, headsets, ear phones, active ear protection systems, or combinations thereof, e.g. to control processing of the hearing device or to monitor a condition of the user wearing the hearing device.