This study investigates the price dynamics of nitrogen fertilisers employing the Producer Price Index (PPI) as the indicator for price trends. Focusing on the United States—one of the world’s largest producers and traders—the research utilises historical PPI data from 1976 to 2023 to assess long-term price behaviour and forecast future price movements. To achieve these objectives, the Autoregressive Integrated Moving Average (ARIMA) model was applied to analyse historical PPI with the primary aim of identifying patterns within the time series. The results confirmed an upward trend in the PPI and significant price volatility in recent years. However, the final ARIMA model of the research determined a statistically significant moving average (MA) process at lag 2 with a negative value. This parameter suggests that price shocks tend to be partially offset by corrections based on error terms that occurred two periods earlier. The findings underscore the utility of predictive modelling in addressing challenges within the agricultural supply chain. Simultaneously, the price movements reflect the nitrogen fertiliser market’s volatile and often unpredictable nature, which is influenced by a variety of economic, geopolitical, and environmental factors. These insights can be valuable for producers, policymakers, and stakeholders across the agricultural supply chain.