We consider the problem of maximizing expected power utility from consumption over an infinite horizon in the Black.Scholes model with proportional transaction costs, as studied in Shreve and Soner [ Ann. Appl. Probab. 4 (1994) 609.692]. Similar to Kallsen and Muhle-Karbe [ Ann. Appl. Probab. 20 (2010) 1341.1358], we derive a shadow price, that is, a frictionless price process with values in the bid-ask spread which leads to the same optimal policy.