Let $(X_t,Z_t)_t$ be an $\mathbb{R}^{n}\times \mathbb{R}^m$-valued time-homogeneous Markov process on a filtered probability space $(\Omega,\mathcal{F},(\mathcal{F}_t)_t,\mathbb{P})$ with transition kernel $\kappa$ and where $\mathcal{F}_t$ is the right-continuous filtration generated by this process. Let $\mathcal{G}_t:=\sigma(\{Z_s\}_{0\leq s<t})$, for each $t\geq 0$. Then, is $X_t$ still Markovian under the smaller filteration $(\mathcal{G}_t)_{t}$?

Let $f\in C(\mathbb{R}^n,\mathbb{R})$.

Is the process $ (\mathbb{E}\left[f(X_t)|\mathcal{G}_t\right])_{t\geq 0} $ Markovian on the reduced space $(\Omega,(\mathcal{G}_t)_t,\mathbb{P})$?

If so, how is the Markov kernel of this process related to $\kappa$?