I have no idea what it might be, but I have had some yellow liquid drip from my car as well (actually once it oozed out quite fast). I believe that was excess coolant dripping out of the system (that was my mistake, I put in too much coolant and the car didn't enjoy it).
However when I felt the coolant it was much more watery than oily. Coolant is water based so it wouldn't make sense for it to be oily.
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