Position a rack in the lower third of the oven and preheat the oven to 350 degrees F. Spray two 13 by 9-inch glass or ceramic baking dishes with cooking spray. Line each dish with a 15-inch-square piece of parchment paper, allowing the excess to overhang the sides. Spray the parchment with cooking spray.
For the brownie layer: In a large bowl, blend together the brownie mix, vegetable oil, 1/4 cup water, espresso powder and eggs. Using a hand mixer, beat for 1 minute on medium speed. Pour the batter into one of the prepared pans. Sprinkle with the coconut and bake until a toothpick inserted about 1 inch from the edge of the baking dish comes out clean, 25 to 27 minutes. Transfer the pan to a wire rack to cool for 1 hour.
Using the excess parchment paper as handles, lift the brownie layer from the pan. Run a thin spatula underneath to loosen it from the parchment paper. Keep the oven on.
For the cookie layer: In a medium bowl, whisk together the flour, baking powder, baking soda and salt. In a stand mixer fitted with a paddle attachment, beat the butter and sugars in a large bowl until fluffy. Beat in the vanilla and egg. Add the flour mixture and beat until a dough forms. Stir in the chocolate chips. Using your fingers, press the dough evenly into the bottom of the other prepared baking dish, leaving a 1/2-inch border. Bake until light golden, 14 to 16 minutes. Transfer the pan to a wire rack to cool for 30 minutes.
Sprinkle the walnuts over the crust.
For the caramel: In a medium, heavy saucepan, combine the caramel candies, 2 tablespoons water and vanilla over medium-low heat. Cook, stirring occasionally, until the candies have melted and the mixture is smooth, about 10 minutes. Pour the caramel evenly over the cookie layer. Working quickly, place the brownie layer on top of the caramel. Gently press the brownie layer into the caramel. Refrigerate for 1 hour until the caramel has set. Allow the layers to come to room temperature, about 30 minutes. Cut into 24 bars and store airtight in a plastic container.