Preheat the oven to 300 degrees F. Line a large baking sheet with parchment paper.
In a medium bowl, whisk together the flour, baking powder, baking soda, salt and nutmeg.
In a large bowl, use an electric mixer to combine the sugar, vanilla and eggs; beat until thickened. Add the dry ingredients and coconut, and mix until well combined. Turn the sticky dough onto a well-floured surface; knead lightly 7 or 8 times.
Shape the dough into a 15x3 inch roll. Place the roll on the prepared baking sheet and pat to 1-inch thickness. Bake for 40 minutes or until the roll is golden brown. Cool for 5 minutes on a wire rack.
Use a serrated knife to carefully cut the roll into 20 diagonal slices. Stand the slices upright on the baking sheet. Bake 20 minutes (cookies will be slightly soft in the center but will harden as they cool). Remove from baking sheet; cool completely on a wire rack.