Crush the saffron threads with a mortar and pestle until powdery or grind them in a clean spice grinder; alternatively you can finely mince the saffron. The finer the powder the more intense the saffron color and flavor in the cookies
Split the vanilla bean in half and scrape the pulp into a small saucepan. Add the vanilla pod, milk and saffron and cook over very low heat, just until bubbles begin to form at the edges, between 108°F and 190°F (82°C and 88°C). Alternatively, combine the vanilla pulp, pod, milk and saffron in a small microwavable bowl and microwave just until the milk is hot, 20 to 30 seconds. Cover and let steep for about 10 minutes; the milk should have a sunny yellow color.
Sift the flour and baking soda into a medium bowl.
In a bowl of a stand mixer fitted with the paddle attachment, beat the butter on low speed until smooth, 1 to 2 minutes. Add the granulated sugar, brown sugar and salt and mix on low speed until well combined. Scrape down the sides of the bowl then mix on medium speed until light and fluffy, 4 to 5 minutes.
Remove the vanilla pod from the milk squeezing off any liquid or pulp clinging to it back into the milk. In a medium bowl, combine the milk mixture, egg and vanilla extract and whisk vigorously until well blended. With the mixer on medium speed, add the egg mixture very slowly, in a steady stream and mix until well-incorporated and very smooth, about 30 seconds. Scrape down the sides of the bowl, then mix on medium speed for 30 more seconds. Scrape down the sides of the bowl, then add the flour mixture. Mix on low speed just until uniform in texture. Using a rubber spatula, scrape the dough out into an airtight container or onto a piece of plastic wrap. Cover the container or if using plastic wrap, shape the dough into a rough disk, wrap tightly and refrigerate for at least 3 hours and up to 5 days.
Preheat the oven to 350°F (175°C). Line a baking sheet with parchment paper or a silicone mat.
Roll 1/4 cup (60ml) portions of the dough into balls and place them on the baking sheet, spacing them at least 2 inches (5cm) apart. Bake for about 16 minutes, until golden but not too dark, rotating the pan midway through the baking time. Ideally the baked cookies will be tall and slightly undercooked in the center and will buckle shortly after coming out of the oven. If the cookies don’t buckle, don’t worry; they’ll still be delicious.
Let the cookies cool on the pan for 10 minutes before removing. These cookies are best when eaten warm, shortly after they come out of the oven. However the dough can be stored in an airtight container in the refrigerator for up to 2 days. Alternatively, the dough can be stored in an airtight container in the refrigerator for up to 5 days, so consider baking only as many cookies as needed and saving the rest of the dough to bake another day.
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