Make the Roux: In a heavy bottomed sauce pan, over medium heat, heat oil until hot but not smoking. Add flour all at once and stir constantly until the roux is golden brown. (Note: do not cook the roux too fast. If black flecks appear, the roux is burned and you must discard and start over. It may take 45 minutes to 1 hour to make the roux. The end result is worth the time.)
Add the onion to the roux and cook, stirring constantly, until onion is soft and light brown.
Lower heat to simmer and 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.
