I remember the movie Traffic which uses a lot of different filters. How do these filters typically change perception of a scene or whole movie (I've seen whole movies overlayed with yellow filter). It seems very subjective to me so I'm wondering if there are any rules of thumb maybe supported by psychological studies
I don't think you can say that a color filter can be used to evoke a particular psychological effect in the viewer as a rule because the filter is always working in conjunction with environmental conditions (including artificial lighting). A yellow filter in one condition creates one effect and in another condition it does something else. More likely, a filmer will want to create an effect and chooses a filter (color or not) that might create that effect in a given situation. Even more likely, a filmer will select a filter to overcome environmental conditions.
Tiffen is one of the primary manufacturers of filters for the movie and television industries. On their filter website page you can click to see images with and without a variety of filters. It explains, for example, that yellow filter used with color film are for "shooting tungsten corrected film outdoors, producing natural colors in your images." You may find the links on their Product Literature Page (scroll down to see filters) helpful, as well as this brochure. This is what a yellow filter does (from the brochure):
Tiffen has a manual (from the early 80s) devoted to filter use - you can borrow it through your public library's interlibrary loan system (ISBN 9780817437008).
For a study of lighting and color in cinematography, you might try one of Blain Brown's books:
Motion Picture and Video Lighting (2008, 2nd ed. ISBN 9780240807638)
Cinematography: Theory and Practice (2012, 2nd ed. ISBN 9780240812090)
These are also available through interlibrary loan in the US and many other countries as well.