In a large bowl, beat the butter, icing sugar, egg yolks and lemon zest with an electric mixer until creamy (about 2 minutes). Add the lemon juice and vanilla, mix well.

Add flour, cornstarch, and baking powder. Mix with a wooden spoon or your hands. Wrap the dough with plastic film and store in the refrigerator for 30 minutes to 1 hour, or until the dough is firm.

Preheat the oven to 176C/350F and grease the baking sheet.

On a flat surface, sprinkle some cornstarch. Roll out the dough to ¼ centimeter thick. Cut the dough into the desired shape.

Bake for 12 minutes. Cookies don't brown much, but they have to feel firm when touched. Let them cool.

Place the dulce de leche in a bag and cut off the tip. Pipe dulce de leche on the cookies, starting with the edges. Gently press the second cookie on top of the dulce de leche, making sure that the dulce de leche comes out of the edges a little. Roll alfajores in shredded coconut.