Air carrier First Officer reported response to RA resulted in an aircraft terrain warning. The flight executed a go around and returned to land.

Narrative

We checked on with ZZZ approach and were assigned the visual approach to XXR. We were given vectors for the right downwind and later told to expect the visual to XXL. We were given vectors to join the localizer and advised of corporate aircraft (Aircraft Y) traffic at our 3 o'clock. I had the aircraft in sight; it appeared it had been following us on the same left downwind. We were told to maintain visual separation with the corporate traffic; maintain 160 knots to the bridge; and cleared for the visual to runway XXL. I had the traffic in sight for the entire base and final legs. Our approach speed was around 156knots due to the wind; so we were not going to have to slow down too much after the bridge. We appeared to be gaining on Aircraft Y and we subsequently got a TA. After 20 seconds or so; we received a 'DESCEND; DESCEND' RA at approximately 1;300 ft. I smoothly complied with the RA (the automation was already off). The CA reported the TCAS RA to the tower. At around 700 feet we simultaneously got a 'MONITOR VERTICAL SPEED' RA and a 'Glide slope' EGPWS warning. I arrested the descent; added power and flew just below the red box which resulted in a slight climb. Shortly thereafter; we received the 'CLEAR OF CONFLICT' advisory. During the procedure; I lost visual contact with the aircraft. We executed a normal go around and conducted an uneventful visual approach and landing to XXL after.