Typhoon is a frequently-occurred natural phenomenon. It is valuable to investigate the behaviour of the infrastructures in coastal cities under this severe aerodynamic condition. Two severe typhoons, namely Nuri and Hagupit, attacked the southern China coast in August and September 2008. Nuri and Hagupit passed by Macao from the northeast side and south side, respectively, generating significantly different aerodynamic condition to the infrastructures. The East Asia Hall, which is a 22-story 64.70 m reinforced concrete building in Macao, is investigated in this study. The floor layer is in L-shape with unequal spans of 51.90 m and 61.75 m and the height-to-width aspect ratio of the building is close to unity. Due to the particular geometry of this building, the structural response is sensitive to both the wind speed and the wind attacking angle. Its acceleration time histories were measured for the complete duration of these two typhoons. The Bayesian spectral density approach is applied to identify the modal parameters of the building and the excitation, such as the modal frequencies of the structure and the spectral intensity of the modal forces. Moreover, the associated uncertainties of these estimated parameters can be quantified by Bayesian inference to reflect the reliability of the identification results. It is important to distinguish whether the changes are due to statistical uncertainty or other factors. During the two typhoons, substantial changes appeared in the modal frequencies and damping ratios, but these changes recovered almost immediately after the typhoon dissipated. Aerodynamic effects such as vortex shedding will also be investigated. In order to develop a reliable structural health monitoring system, it is important to identify the factors, except for structural damage, that influence the modal parameters.