From a letter to Oskar Pollak dated January 27, 1904.

Full quote: Altogether, I think we ought to read only books that bite and sting us. If the book we are reading doesn't shake us awake like a blow to the skull, why bother reading it in the first place? So that it can make us happy, as you put it? Good God, we'd be just as happy if we had no books at all; books that make us happy we could, in a pinch, also write ourselves. What we need are books that hit us like a most painful misfortune, like the death of someone we loved more than we love ourselves, that make us feel as though we had been banished to the woods, far from any human presence, like suicide. A book must be the axe for the frozen sea within us. That is what I believe.
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