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Each time our faucets are turned off there is loud knocking within the walls. Is there a way to fix this problem?
Sounds like water hammer which is a condition caused when there is no air space in the pipe to cushion the jolt of the water being turned off. If your house is more than 30 years old, it may or may not have hammer arrestors in place, which is just a length of pipe above the shut off valves at each fixture location.
If your home is less than 30 years old, then it likely has them and they've become water logged over time. Simply turn off the water main and hope a hose bib outside, then go in and turn on both the hot and cold water at each fixture for a couple seconds. This will drain the water out of the arrestor and all should be well again when you turn the water main back on.
If you have an older home and your plumbing doesn't have arrestors, there are aftermarket systems available. TOH has showcased these a couple times. I cannot offer any advice with them because I've neither seen or used one personally.
If All the faucets bang? By any chance might your home have a pressure regulator valvue on the water main line and is the water pressure set at 45psi? A plumber can check an see how high your water pressure is an adjust the valvue or replaceit. The big box home stores or any plumbing supply has arrestors that you install in the water supply line that feeds the fixture.