Make the roux: In a heavy bottom saucepan, over medium temperature, heat oil until hot but not smoking. Add flour all at once and stir constantly until the roux is golden brown. Add the onion to the roux and cook, stirring constantly, until onion is soft and light brown. Lower heat to simmer, add the shrimp, and cook for about 10 minutes. Slowly stir in the water. Raise heat to medium and continue cooking until the stew reaches a boil. Stir in the green bell pepper, celery, parsley, salt and pepper. Turn heat down to a simmer and cook for about 30 to 40 minutes to blend flavors. Taste and adjust seasonings.