Make the roux: In a heavy bottom saucepan, over medium heat, heat oil until hot
but not smoking. Add flour all at once and stir constantly until the roux is golden
brown. (Fo 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, 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.