Yellow is a recurring colour in the Yellow Mythos, most obviously in the form of the King In Yellow and the Yellow Sign. In the late 19th century, when The King In Yellow was written, yellow was perceived as a colour of decadence. Following from that, it became the dominant colour in advertising in the years around 1900, its widespread use on posters revealing another facet of the colour – that it faded easily; thus, it can not only symbolise decadence and excess, but, faded, also the tarnishing of such fantasies. It was also associated with quarantine and has come to be associated with madness through The Yellow Wallpaper and The King In Yellow.
Yellow is also the colour of cowardice and the term Yellow Journalism refers to unprofessional, alarmist reporting intended to sell papers, which derived its name from a cartoon character, The Yellow Kid. Although it can have positive implications, such as a sunny disposition or the song Mellow Yellow, yellow largely seems to have negative connotations. In some languages, certainly Greek, the word for yellow is also the word for pallid...
Politically, yellow is associated with the Liberal Democrats and suitably mad Monster Raving Loony Party in the UK, various liberal parties in Europe and the Libertarian Party in the USA. Given the perception of liberalism in some quarters, this fits nicely with a decadent theme.
There was also the Yellow Peril, the perceived East Asian (primarily Chinese) threat to Western civilisation – all the more apt given the association of Carcosa and the Yellow Codex with the far east.