1. Preheat the oven to 200°C.
2. Halve the peppers by carefully cutting them lengthwise through the stem into two halves. Remove the seeds, but leave the stems on.
3. Mix together the cherry tomatoes, goat cheese, pesto and some freshly ground pepper to taste. Divide the mixture between the four pepper halves and place in a shallow baking dish.
4. Cut the parsnips into halves or quarters, depending on their size. Put them in a bowl with the olive oil, lemon juice and some freshly ground pepper. Mix the ingredients by hand so that the parsnips are covered all over with the mixture. Put these also in a separate, shallow baking dish and put this dish on top (on the hottest spot) in the oven. Turn down the peppers slightly.
5. Bake for about 35 minutes, until the parsnips are soft and lightly browned. Turn them once halfway through. When the peppers are done, you can serve them.