The parents of a teenager who died shielding his younger sister from the Melbourne wall collapse say they are devastated by the tragedy.

Floral tributes and candles line the Swanston Street construction site where the 2.5 metre brick wall toppled over on Thursday, killing two people.

One of the victims has been identified as 19-year-old Alexander 'Zander' Jones, who was walking past the site with his 18-year-old sister Bridget when the collapse happened.

He died shielding Bridget, who was previously reported as being 19.

She remains in a critical condition in hospital.

The pair's parents Ian and Sue have been keeping a bedside vigil for their daughter at the Royal Melbourne Hospital.

"We are overwhelmed at the loss of our son Alexander and are very distressed to see our critically ill daughter in the hospital," they said in a statement.

"Our hearts go out to the family of the other lady who was killed in this tragedy."

The other person killed was a woman in her 30s, who has not been named.

After the wall collapse members of the public rushed to the aid of those under the fallen bricks, frantically trying to remove the debris.

Ian and Sue Jones have issued words of thanks to those who tried to help their children.

"We understand people who were passing by and the emergency services did everything that they could and we are so grateful these people tried their best for our children," they said.

They also thanked their family, the friends and school of their children and all those who have offered support.

As it happened: Wall collapse kills two in Carlton

Allan Robinson, the principal of Montmorency Secondary College, where both the Jones's children attended, says everyone is shocked and saddened by what has happened.

"Our community and the family have lost Zander in tragic circumstances and this is a loss of enormous proportions," he said.

"We've lost a really incredible young person. I believe it's fate that's gone wrong.

"As a college we're focusing our thoughts with Bridget and praying for a positive outcome.

"In the coming days we'll also provide a plan of action to appropriately honour and remember Zander."

A teddy bear and a bunch of flowers are left at the site of the wall collapse ( AAP: Julian Smith )

Investigations begin

The cause of the collapse continues to be investigated, although it is understood that unusually strong winds contributed to the accident.

Wind gusts of 115 kilometres per hour were recorded at Fawkner Beacon and 102kph at St Kilda when a squall line passed through the city.

The owner of the site, Grocon, has pledged to fully cooperate with all investigations.

"There are four investigations underway into the circumstances of Friday's tragic events and it is irresponsible to be speculating on any possible causes at this time," Grocon spokesman Mike Zorbas said.

"The investigations will be thorough and deliver their findings with the full assistance of Grocon in due course. That process should not be pre-empted.

"We would once again like to pass on our condolences to the families of the two young people who lost their lives and the third teenager who is gravely ill.

"We would also like to thank those who assisted in rescue attempts including emergency services, members of the public and union officials."

The construction union's state secretary John Setka says it will instruct its members not to work at the site until a thorough safety check is carried out.

He says building sites are shut down over Easter and next week, but after that work could still be suspended.

"We will be looking at black-listing that site," he said.

"Until Grocon could guarantee all the construction unions that they can actually run a safe site, we'd have concerns about our members working there."

The construction union's Dave Noonan says counselling is being offered to CFMEU members who helped to frantically dig through fallen bricks to get to the victims.

"They have arranged for trauma counselling for a number of people that work in the office," he said.

"Just making sure that all of our people are OK because some of them have seen some pretty disturbing things.

"[We're] very proud of the role they played in trying to assist in these difficult circumstances along with members of the public and of course emergency services."

The State Government will hold emergency talks with Victoria's building commission and the Melbourne City Council next week to ensure a similar accident never happens again.

Melbourne's Lord Mayor Robert Doyle would like to see the building code improved to force owners to conduct regular structural checks of their building facades.

"If there's one thing you to do from just this awful tragedy is see if buildings around the city that are now getting older and sometimes part of those buildings do fall off," he said.

"There is no power at the moment to require the owner to do a regular check of the integrity of the facade of their building."