Oliver,
Michael gave you some good advice. Make sure both 9V battery female terminals (i.e., on both the connector pigtail and the battery itself) are tight. You may have to pursuade them slightly by compressing with a small pair of pliers...be gentle or you'll break them. Make sure also that the terminals are clean (i.e., no oxidation)...use a small pencil eraser from a drafting pencil or some plastic-safe contact cleaner and a cotton swab. I've also used a little TWEEK contact enhancer on the terminals on the batteries in my Jackson guitars for years (since the late '80's), although you have to be careful using that stuff on any connector that sees relatively high current or voltage (it was designed for small signal connectors, not power plugs or tube socket pins, for example). A little TWEEK on all of Ron's modular connectors wouldn't hurt either...it helps to keep the connections fresh and free from oxidation. Just my two cents. Good Luck.
Kevin