如何从合并表创建MultiIndex数据帧？

import pandas as pd

df1 = pd.DataFrame({'A': ['A0', 'A1', 'A2', 'A3'],
                    'B': ['B0', 'B1', 'B2', 'B3'],
                    'key': ['K0', 'K1', 'K2', 'K3']})

df2 = pd.DataFrame({'C': ['C0', 'C1', 'C2', 'C3'],
                    'D': ['D0', 'D1', 'D2', 'D3'],
                    'key': ['K0', 'K1', 'K2', 'K3']})

merged_df = pd.merge(df1, df2, on='key')

multiindex_df = merged_df.set_index(['key', 'A'])