A320 Captain reported a Too Low Warning was issued by ATC while on approach. A missed approach was accomplished and another approach was completed.

Narrative

On approach to ZZZ airport while receiving radar vectors we reported the field in sight. Approach Control cleared us direct ZZZZZ; and cleared for the visual approach RWYXXR. The first officer set 1;700 ft. on the FCU and called '1;700' and I responded '1;700'. This was the first mistake and the root cause of this event. I should have caught the error and corrected it. But I didn't and I assume full responsibility for it. The First Officer started the descent to 1;700 ft. and we configured the aircraft to CONFIG 2/Gear down. The controlled called us with an altitude alert stating that the Minimum Vectoring Altitude in the sector was 2;500 ft. and we were at 1;700 ft. At that time we realized that we were too low and the First Officer instead of calling for a Go Around tried to pull the nose up. The autopilot disconnected and the auto thrust system went into Thrust Lock mode with the associated ECAM warnings. At that time I called for the Go Around. A Go Around was performed and we were vectored back for a full ILS approach to Runway XXR. The landing was done uneventfully this time. The First Officer remained the Pilot Flying and completed the landing.