Exception Handling On Linked Server?

I am trying to handle exceptions using try catch with remote database.

I am writing the following code which works fine if login locally but when I am trying to do the same on linked server its not being caught in try..catch block.

The procedure I am writing to raiserror

create proc CustomError
as
RAISERROR ('db error', 16, 1);

I am calling the above procedure in local database using following code

BEGIN TRY
exec CustomError
END TRY
BEGIN CATCH
select ERROR_MESSAGE() as ERROR_MESSAGE;
END CATCH;
GO

and it works perfectly. I am able to catch the error in catch block.

and i m getting the following result
db error

but when i am trying to do the same on linked server the code doesn't take me to catch block. I am getting following error while executing the code

go
BEGIN TRY
exec [192.168.0.50].[BM].dbo.CustomError
END TRY
BEGIN CATCH
select ERROR_MESSAGE();
END CATCH;
GO

where [192.168.0.50] is a linked server name and BM is the database name and custom error is my sp which is on remote server.

its giving me following error

Msg 50000, Level 16, State 1, Procedure CustomError, Line 11
db error