An approximate Kohn-Sham (KS) exchange potential v(xsigma)(CEDA) is developed, based on the common energy denominator approximation (CEDA) for the static orbital Green's function, which preserves the essential structure of the density response function. v(xsigma)(CEDA) is an explicit functional of the occupied KS orbitals, which has the Slater v(Ssigma) and response v(respsigma)(CEDA) potentials as its components. The latter exhibits the characteristic step structure with "diagonal" contributions from the orbital densities \psi(isigma)\(2), as well as "off-diagonal" ones from the occupied-occupied orbital products psi(isigma)psi(j(not equal1)sigma). Comparison of the results of atomic and molecular ground-state CEDA calculations with those of the Krieger-Li-Iafrate (KLI), exact exchange (EXX), and Hartree-Fock (HF) methods show, that both KLI and CEDA potentials can be considered as very good analytical "closure approximations" to the exact KS exchange potential. The total CEDA and KLI energies nearly coincide with the EXX ones and the corresponding orbital energies epsilon(isigma) are rather close to each other for the light atoms and small molecules considered. The CEDA, KLI, EXX-epsilon(isigma) values provide the qualitatively correct order of ionizations and they give an estimate of VIPs comparable to that of the HF Koopmans' theorem. However, the additional off-diagonal orbital structure of v(xsigma)(CEDA) appears to be essential for the calculated response properties of molecular chains. KLI already considerably improves the calculated (hyper)polarizabilities of the prototype hydrogen chains H-n over local density approximation (LDA) and standard generalized gradient approximations (GGAs), while the CEDA results are definitely an improvement over the KLI ones. The reasons of this success are the specific orbital structures of the CEDA and KLI response potentials, which produce in an external field an ultranonlocal field-counteracting exchange potential.