CRJ-900 flight crew reported setting incorrect altitude for approach. Flight crew realized mistake; corrected glidepath and landed uneventfully.

Narrative

I was Pilot Monitoring (PM) of a flight Day 0 into ZZZ. We were instructed to descend to 2000 and cleared for the ILS XR. Once we were established on the LOC the Pilot Flying (PF) stated that we're we're cleared for the ILS XR and that the missed approach was 4000. Due to a miscommunication I thought he was instructing me to set 4000 in the altitude pre-select. I proceeded to set 4000 and verbalize 4000 set" which was not verified by the Captain. The plane had not captured altitude yet though and continued it's decent without leveling at 2000. At 1100 the mistake was caught. The Captain disconnected the auto pilot and leveled off to recapture the glide slope. The approach was continued to landing without further incident to a safe landing. Once the shutdown checklist was completed we debriefed to determine what had happened and where we as a crew could have prevented the incident.Poor communication. The PF stated we were cleared and the missed altitude in a confusing way that led to the PM misunderstanding the instruction. The PM then set an altitude and verified it; but did not repeat when the Captain did not verify. Proper SOP would have avoided the incident which was discussed and agreed on once completing the shutdown check list in a post flight debrief. Always make sure to verify altitude and confirm the other pilot is aware and repeats."