Preheat the oven to 325°F (160°C) and line two baking sheets with parchment paper.
Sift the cornstarch, flour, baking soda, and baking powder together in a bowl.
In another bowl, beat the butter and sugar together. Add the egg yolks one at a time, mixing well after each addition. Add the vanilla extract and lemon zest to the bowl and mix well. Then, incorporate the sifted dry ingredients.
Roll out the dough on a floured surface until it is about 1/4 inch thick. Cut into circles using a round 2'' cookie cutter.
Place the circles on a clean baking sheet slightly greased with butter and bake in a moderate oven for 15 minutes. Once the cookies are baked, let them cool completely.
Assemble the alfajores by sandwiching two cookies together with plenty of dulce de leche in the middle.
Finally, place the shredded coconut in a small bowl and roll the sides of the alfajores, covering the dulce de leche with coconut.
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Notes
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