I am similar in size to you. Normally a 0-2 in Banana Republic, and around a size 2 generally. I already have an Alexis short trench in the lavender in a size 2. I tried on the size 2 Coach leather jacket earlier this year in light beige... I can't remember the name, but it was a spring release; the 2 fit great. I ended up buying the Madison leather jacket in Saddle that is currently on the website, and ordered a small and I'm glad I did. It is a much heavier leather, so it is more constricting. So my answer would be depends on the jacket.
I should add that I am quite tall and my bone structure isn't particularly delicate. I am 5'8" with very long arms. Coach jackets fit me well as they are made for tall, slim women. The sleeves are actually long enough! Yay!