I would think a loose exhaust (on the "far" side of the turbo) won't have that great an effect on performance. If it's between the turbo and exhaust ports (so head->exhaust manifold or manifold->turbo) then absolutely it will affect performance because you're losing pressure that would normally drive the turbine and thus you're losing boost. Having a boost gauge would help here.
As Mike says though, it's less likely to be pump or injectors - unless you've had some dirty fuel. Poor fuel quality can easily cause troubles with injectors. In our D40s the SCV (part of our fuel pump) is a prime candidate for failure from poor fuel.
So what I'd do first, before even thinking about pulling injectors or fuel pumps or anything else, is head down to your local auto parts place and grab a bottle of Liqui Moly Fuel System Treatment. Works in diesel and petrol engines. I've used it in my D40 (2.5L 4cyl turbo diesel) and my Honda Goldwing (1500cc 6cyl petrol). The stuff is almost like a mechanic in a bottle.
After you've run one of those bottles through the tank, see how the performance is.
Other things to look at: is there more smoke than before? Do you have a catch can? If your EGR is still functioning your intake manifold might be filled with black gunk from the combination of diesel soot (from EGR) and condensing oil vapour (from PCV).
